發放股票股利一直來為台灣公司特有的股利政策，因此發放盈餘配股與公積配股便為重要議題。本研究目的在探討股票股利不同來源之下與長期異常報酬的關係，觀察時間為1999年1月到2010年12月，並以發放超過三年股票股利之公司為樣本，藉由四因子模式來分析股票股利來源是否能預期未來的股價報酬，並做為未來經營好的訊息，歸納實證結果，得到以下的結論:
一、除了市場因子、規模因子影響股票預期報酬外，配發盈餘配股也是重要影響因子，但不存在淨值市價比因子與動能因子。
二、長期下，配發盈餘配股與異常報酬間存在正向顯著關係，而且當在有配發的程度之下，產生的異常報酬愈多。其他的股票股利來源則無法證實與異常報酬之間關係。
三、是否配發盈餘配股與預期股票報酬之間呈現正向顯著關係，且當配發的程度愈大，對股票未來的預期報酬也愈高，但無論是在盈餘配股率、公積配股率、盈餘配發量和公積配發量皆與預期報酬呈無顯著差異。

Stock dividend is the especial policy in Taiwan stock market. Therefore retained earnings and capital surplus are definitely important issues. The purpose of this study is to investigate the relationship between long-term stock performance and the stock dividend source. Based upon a sample of paid stock dividend over three years issued from 1999 to 2010, this study employ the four factors model to measure the expected returns of securities and the firm’s good prospect. The empirical results are showed as follow:
First, in addition to market factor and size factor, the factor of retained earnings has ability to explain the expected returns in Taiwan stock market. Second, there is a positive relationship between retained earnings and abnormal returns. In addition, if a firm pays more retained earnings, there are more abnormal returns. Other stock dividend sources have no significant with abnormal returns. Final, the regression results provide positive evidence between retained earnings and expected returns. And then, if the firms pay high level dividends, investors can get more expected returns in the future. No matter in retained earnings ratio, capital surplus ratio, the quantity of retained earnings, the quantity of capital surplus, there are no significant with expected returns.

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